1. House it in a temporary box, then sell it as a nucleus or starter colony. They sell for at least $150 around here.
2. Find the queen, dispatch her, then merge the bees using newspaper to strengthen a weak colony.
3. Offer it to a friend or club member.
4. Keep it for a month or two and use it to make comb honey (swarms are very good at doing this fast), then combine it with another hive later in the season.
Like your situation, my city regulates how many hives I can keep at an urban site. The limit is 2. However, they understand that swarms happen, so I am allowed to have up to 5 hives for no longer than 2 months. The above concepts are therefore viable for me if I catch a swarm.